Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...

We first analyse the general problem of admissible conditioning and next consider the evaluation of the loss of information when a non-admissible conditioning is used as an approximation of the exact posterior distribution. Considering the case of Fisher test, we evaluate from a Bayesian point...

We analyze the empirical effects of different measures of labor standards on the export performance of the United States using annual data for the period 1950-1998, applying a time series approach based on the structural change literature. Hence, we estimate a model with endogenous breaks...

Demand for money is an important macroeconomic relationship. Its stability has implications for the choice of monetary policy targets. This paper estimates demand for narrow money in Fiji and evaluates its robustness and stability. It is found that there is a well determined stable demand for...

SURGAT is a RATS menu-driven program to help in the analysis of the seasonal component and the trend of a (quarterly, monthly or annual) time series. Once the series is selected, a set of simple transformations may be applied: log, regular difference, seasonal difference, regular+seasonal...

In regression we can delete outliers based upon a preliminary estimator and re-estimate the parameters by least squares based upon the retained observations. We study the properties of an iteratively defined sequence of estimators based on this idea. We relate the sequence to the Huber-skip...

This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product we analyze also the HEGY test for the nonseasonal...

In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root tests on the same variables. Using a framework of Bayes...